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Edition

ARCH Table of Contents 2014.1

Temple University
Philadelphia, PA
July 31-August 3, 2013

Distribution sponsored by The Education and Research Section of the Society of Actuaries

This publication is provided for informational and educational purposes only. The Society of Actuaries makes no endorsement, representation or guarantee with regard to any content, and disclaims any liability in connection with the use or misuse of any information provided herein. This publication should not be construed as professional or financial advice. Statements of fact and opinions expressed herein are those of the individual authors and are not necessarily those of the Society of Actuaries.

© 2014 Society of Actuaries. All rights reserved.

Society of Actuaries
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Editorial direction by:

Charles S. Fuhrer
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Arnold F. Shapiro
Pennsylvania State University
Smeal College of Business
359 Business Building
University Park, PA 16802

Table of Contents

 

  • Annuities
  •  
  • A Generalized Modeling Framework for Guaranteed Annuity Options
  • M. Miljanovic, H. Gao, X. Liu, R. Mamon
  • View Abstract
  •  
  • Portfolio Choice with Life Annuities under Probability Distortion
  • W. Zheng, J. Bridgeman
  • View Abstract
  •  
  • Pricing Guaranteed Minimum Death Benefits under Stochastic Volatility and Stochastic Interest Rate
  • X. Wei, S. Li
  • View Abstract
  •  
  • Catastrophes and Reinsurance
  •  
  • Capital Tranching: A RAROC Approach to Assessing Reinsurance Cost Effectiveness
  • D. Mango, J. Major
  • Complete Paper
  •  
  • Catastrophe Reinsurance and Bonds: Valuation and Optimum Mix
  • C. Chang, J. Chang, M. Yu
  • View Abstract
  •  
  • Copulas
  •  
  • A Transformed Linear Approximation to Copula Regression
  • R. Parsa, P. Ferrara
  • View Abstract
  •  
  • Estimation Techniques
  •  
  • DFA with Dependency between Motor Own Damage Insurance and Compulsory Motor Insurance - The Case of Turkey
  • B. Karagül, M. Büyükyazıcı
  • View Abstract
  •  
  • Generalized Linear Models for a Dependent Aggregate Claims Model
  • J. Schulz, J. Garrido
  • View Abstract
  •  
  • Pricing Risk through Simulation: Revisiting Tilley Bundling and Least Squares Monte Carlo Methods
  • R. Brannvall, D. Cortis, J. Li
  • View Abstract
  • View Presentation
  •  
  • Financial Analysis
  •  
  • An Actuarial Model of Excess of Policy Limits Losses
  • N. Bodoff
  • Complete Paper
  •  
  • Calibration of a Regime-Switching Interest Rate Model
  • J. Bridgeman, Z. Xie, S. Zhang, X. Zhang
  • View Abstract
  • View Presentation
  •  
  • Executive Compensation and Risk Taking
  • Y. Ma, P. Wang
  • View Abstract
  •  
  • Fixed Index Annuity Return and Risk Analysis with an Enhanced Model
  • Z. Wu, L. Liang, H. Dao, L. Nguyen
  • View Abstract
  •  
  • Portfolio Management with the Critical Event Cost Method
  • J. Major, G. Carpenter, S. Thomas
  • Complete Paper
  •  
  • Financial Applications
  •  
  • A Mixture Model Approach to Operational Risk Management
  • A. Badescu, L. Gong, X. Lin
  • View Abstract
  •  
  • Interplay of Insurance and Financial Risks in a Discrete-time Model with Strong Regular Variation
  • Q. Tang
  • View Abstract
  •  
  • Healthcare Modeling
  •  
  • Risk Assessment in Group Health Claims
  • S. Huang, B. Hartman
  • View Abstract
  •  
  • Trend Analysis Algorithms and Applications to Health Rate Review
  • Y. Ye, L. Yin, D. Hong, Q. Wu
  • View Abstract
  • View Presentation
  •  
  • Insurer Operations
  •  
  • Micro-Level Loss Reserving Models for Insurance
  • X. Jin
  • View Abstract
  •  
  • Issues in Actuarial Education
  •  
  • Actuarial Job Market: Overcoming the Matthew Effect
  • N. Humphreys
  • Complete Paper
  •  
  • Assessment of a University-Based Actuarial Program: A Case Study of UW-Madison
  • E. Frees, M. Rosenberg
  • View Abstract
  •  
  • Diversity in the Actuarial Profession - Next Steps
  • B. McKeown
  • View Presentation
  •  
  • SOA Education Update
  • S. Klugman
  • View Abstract
  •  
  • Issues in Health Actuarial Science
  •  
  • Health Care Costs--From Birth to Death
  • D. Yamamoto
  • Complete Paper
  • View Excel Databook
  •  
  • Risk Adjustment and the Patient Protection and Affordable Care Act
  • M. Rosenberg, M. Wurm
  • View Abstract
  •  
  • TIPS, the Triple Duration, and the OPEB Liability: Hedging Medical Care Inflation in OPEB Plans
  • M. Ashton
  • View Abstract
  •  
  • Longevity Risk
  •  
  • Intergenerational Equity and Sustainability in A Collective Defined Contribution Plan
  • B. Sanders
  • View Presentation
  •  
  • Personal Care Savings Bonds - A New Way of Saving Towards Social Care in Later Life
  • L. Mayhew, D. Smith
  • View Abstract
  •  
  • Modeling Issues
  •  
  • Bayesian Foundations of Insurance
  • L. Hong, R. Martin, Z. Yan
  • View Abstract
  •  
  • On Negative Option Values in Personal Savings Products
  • T. Moenig, D. Bauer
  • View Abstract
  •  
  • The Distribution of Aggregate Life Insurance Claims: The Gamma-Exponential Mix Model
  • T. Edwalds, R. Hilton
  • View Abstract
  •  
  • The Frequency of Drawdowns
  • B. Li, H. Zhang
  • View Abstract
  •  
  • Mortality Modeling
  •  
  • Canadian Pensioners Mortality Improvement Rates by Data Source and Income: Life Expectancy and Present Value of Annuity
  • L. Adam
  • View Abstract
  •  
  • Forecasting Mortality in Related Populations Using Lee-Carter Type Models: A Comparison
  • I. Danesi, P. Millossovich, S. Haberman
  • View Abstract
  •  
  • Modeling Mortality by Cause of Death and Socio-Economic Stratification: An Analysis of Mortality Differentials in England
  • A. Villegas, S. Haberman
  • View Presentation
  •  
  • Multi-State Actuarial Models of Functional Disability
  • J. Fong, A. Shao, M. Sherris
  • View Abstract
  •  
  • On Basis Risk in Extreme Mortality CAT Bonds
  • R. Chan, X. Hao
  • View Abstract
  •  
  • Re-fitting Phase-Type Mortality Model
  • M. Bartley, X. Huang, X. Liu
  • View Abstract
  •  
  • The Financial Impact of Subjective Mortality Risk
  • T. Moenig, C. Foltz, N. Kent, Y. Yang
  • View Abstract
  •  
  • Predictive Modeling & Fuzzy Logic
  •  
  • Applying Fuzzy Optimization to Risk Assessment
  • M. Koissi, A. Shapiro
  • Complete Paper
  •  
  • Fuzzy Logic Modifications of the Analytic Hierarchy Process -- Some Preliminary Observations
  • A. Shapiro, M. Koissi
  • Complete Paper
  •  
  • Predictive Modeling of Storm Damage to Overhead Power Lines
  • B. Hartman
  • View Abstract
  •  
  • Pricing & Capital Allocation
  •  
  • Improving Pension Product Design
  • A. Konicz, J. Mulvey
  • View Abstract
  • View Presentation
  •  
  • Investors' Perspective Risk Analysis of Catastrophe Bonds
  • T. Nowak
  • View Abstract
  • View Presentation
  •  
  • On Bivariate Distributions Defined with Exponential Marginals: Aggregation and Capital Allocation
  • H. Cossette, E. Marceau, S. Perreault
  • View Abstract
  •  
  • Participating Life Insurance Contracts under Risk Based Solvency Frameworks: Increasing Capital Efficiency by Product Design
  • A. Reuss, J. Russ, J. Wieland
  • View Abstract
  • View Presentation
  •  
  • Rating/Ratemaking
  •  
  • A Risk Modeling Framework for Autonomous Vehicle Technology
  • D. Varodayan, R. Gorvett, G. Gao
  • View Abstract
  •  
  • Comparison of the Standard Rating Methods and the New General Rating Formula
  • M. Borogovac
  • Complete Paper
  •  
  • Ratemaking Using the Tweedie Model
  • P. Shi
  • View Abstract
  •  
  • Risk Theory & Insurance Economics
  •  
  • Discounted Moments of Surplus after the Last Innovation before Ruin under the Dual Risk Model
  • C. Yang, K. Sendova
  • View Abstract
  •  
  • On Two Methods Based on Martingales and Simulation to Compute Infinite-Time Ruin Probabilities
  • H. Cossette, E. Larrivée-Hardy, E. Marceau, J. Trufin
  • View Abstract
  •  
  • Risk Theory & Risk Measures
  •  
  • Asymptotic Confidence Intervals for the Haezendonck Risk Measure
  • N. Shyamalkumar
  • View Abstract
  •  
  • Asymptotic Expressions for the Haezendonck--Goovaerts Risk Measure with General Young Function
  • F. Yang, Q. Tang
  • View Abstract
  •  
  • On a Risk Measure Inspired from the Ruin Probability
  • I. Mitric, J. Trufin
  • View Abstract
  •  
  • Ruin Probabilities in Multivariate Risk Models with Periodic Common Shock
  • I.Groparu-Cojocaru, J. Garrido
  • View Abstract
  •  
  • Valuation
  •  
  • Have It Both Ways? A Tale of the Speed-Accuracy Trade-Off in the Valuation of Guaranteed Minimum Withdrawal Benefit
  • R. Feng, H. Volkmer
  • View Abstract
  •  
  • Hyperbolic Discounting: Implications for Actuarial Science and Financial Risk Management
  • R. Gorvett
  • View Abstract
  •  
  • Option Pricing Without Tears: Valuing Equity-Linked Death Benefits
  • E. Shiu, H. Gerber, H. Yang
  • View Abstract
  • View Presentation
  •  
  • Pricing Weather Derivatives Using Maximum Entropy Principle
  • J. Pai, J. Li, R. Zhou
  • View Abstract

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